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| Panel Cointegration Tests (Pedroni, Kao, Westerlund)× | Модел фиксних ефеката панелних података× | |
|---|---|---|
| Oblast | Ekonometrija | Ekonometrija |
| Porodica | Regression model | Regression model |
| Godina nastanka≠ | 2004 | 2014 |
| Tvorac≠ | Pedroni; Kao; Westerlund | Hsiao (textbook treatment); within transformation of panel data |
| Tip≠ | Panel cointegration test | Panel data regression |
| Temeljni izvor≠ | Pedroni, P. (2004). Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis. Econometric Theory, 20(3), 597–625. DOI ↗ | Hsiao, C. (2014). Analysis of Panel Data (3rd ed.). Cambridge University Press. DOI ↗ |
| Drugi nazivi≠ | Pedroni cointegration test, Kao cointegration test, Westerlund cointegration test, panel long-run equilibrium tests | fixed effects model, within estimator, panel fixed-effects regression, Panel Veri — Sabit Etkiler Modeli |
| Srodne≠ | 3 | 5 |
| Sažetak≠ | Panel cointegration tests check whether a set of integrated variables share a stable long-run equilibrium relationship across a panel of cross-sectional units. Pedroni (1999, 2004) provides heterogeneous-panel tests with seven statistics, Kao (1999) gives an ADF-based homogeneous-panel test, and Westerlund (2007) adds error-correction-based tests robust to structural breaks and cross-sectional dependence. | The Panel Data Fixed Effects model estimates relationships from panel data (the same units observed over several time periods) while controlling for unit- and/or time-specific effects, supporting causal inference. It is developed as the within estimator in standard treatments such as Hsiao's Analysis of Panel Data (2014). |
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